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| Titel: |
Model specification tests for balanced representation state space models |
| Auteur: |
Dorfman, Jeffrey H. Havenner, Arthur |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 24 (1995) nr. 1 pagina's 97-119 |
| Jaar: |
1995 |
| Inhoud: |
Balanced representation state space models of the form developed by Aoki (1990) have several inherent advantages relative to ARMA models in the specification of multivariate time series. These include an orderly specification search over a small number of dimensions and, as demonstrated below, a choice of coordinate systems for the states that makes sequential model order tests uncorrelated, thus preserving their confidence levels. Using two representative data sets as the basis for a Monte Carlo experiment, four model specification procedures are evaluated, The results show promise for two of the methods which are based on asymptotic likelihood ratio tests. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 14 van 20 gevonden artikelen
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